| Close | |
|---|---|
| Annualized Return | 0.0199 |
| Annualized Std Dev | 0.0635 |
| Annualized Sharpe (Rf=0%) | 0.3129 |
| Close | |
|---|---|
| Observations | 3017.0000 |
| NAs | 1.0000 |
| Minimum | -0.0434 |
| Quartile 1 | -0.0015 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0020 |
| Maximum | 0.0457 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0040 |
| Skewness | -1.0110 |
| Kurtosis | 23.4339 |
| Close | |
|---|---|
| Semi Deviation | 0.0030 |
| Gain Deviation | 0.0027 |
| Loss Deviation | 0.0035 |
| Downside Deviation (MAR=210%) | 0.0091 |
| Downside Deviation (Rf=0%) | 0.0030 |
| Downside Deviation (0%) | 0.0030 |
| Maximum Drawdown | 0.1517 |
| Historical VaR (95%) | -0.0054 |
| Historical ES (95%) | -0.0097 |
| Modified VaR (95%) | -0.0057 |
| Modified ES (95%) | -0.0063 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2019-12-30 | 2020-03-23 | 2020-11-05 | -0.1517 | 217 | 58 | 159 |
| 2015-04-17 | 2016-02-11 | 2017-11-22 | -0.0811 | 658 | 208 | 450 |
| 2018-01-29 | 2018-12-27 | 2019-12-16 | -0.0781 | 475 | 231 | 244 |
| 2013-05-14 | 2013-06-24 | 2014-02-27 | -0.0720 | 200 | 29 | 171 |
| 2009-11-17 | 2010-05-20 | 2010-09-29 | -0.0693 | 218 | 127 | 91 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | -0.3 | -0.2 | 0.3 | -0.1 | 0.3 | -0.7 | -0.8 | -1.4 | 0.3 | 0.1 | -2.6 |
| 2010 | 0.6 | 0.4 | 0.7 | -0.3 | 0 | 0.4 | 0.3 | 0.3 | 0.2 | 0.3 | 0.2 | 0.3 | 3.2 |
| 2011 | 0.4 | -0.3 | 0.3 | 0.2 | -0.5 | 0.2 | 0.1 | -0.1 | -0.2 | -0.7 | 0 | 0.4 | -0.3 |
| 2012 | 0.4 | 0.1 | 0 | 0 | -0.4 | 0.3 | 0.1 | 0.3 | 0.2 | 0.5 | 0.1 | 0 | 1.6 |
| 2013 | 0 | 0.1 | -0.5 | -0.3 | 0.1 | 0.3 | 0.4 | -0.1 | 0.2 | -0.2 | -0.1 | 0.2 | 0 |
| 2014 | -0.3 | -0.2 | 0.3 | 0.1 | -0.1 | 0.4 | -0.1 | 0.2 | -0.6 | 0.5 | -0.4 | -0.2 | -0.5 |
| 2015 | -2 | -0.2 | -0.1 | 0.2 | 0.1 | 0 | 0.2 | -0.3 | 0.1 | 0.2 | 0.6 | -0.1 | -1.4 |
| 2016 | 0.1 | 0.4 | 0.1 | 0 | 0.1 | 0.2 | -0.2 | 0.2 | 0.1 | -0.3 | -0.3 | 0 | 0.2 |
| 2017 | 0.1 | 0.2 | 0 | 0.1 | 0.4 | 0.2 | 0.1 | 0 | 0.2 | 0.1 | -0.2 | -0.1 | 1.3 |
| 2018 | -0.3 | -0.4 | 0.5 | 0 | 0.2 | 0.2 | -0.2 | 0.1 | -0.1 | 0.5 | -0.1 | -0.2 | 0.2 |
| 2019 | 0 | 0.1 | 0.2 | -0.2 | -0.1 | 0.4 | -0.2 | 0.1 | -0.2 | 0.4 | -0.3 | 0 | 0.3 |
| 2020 | -0.5 | -0.2 | -1.3 | -0.5 | 0.5 | -0.3 | -0.2 | 0.2 | 0.3 | -0.3 | 0.5 | -0.1 | -2 |
| 2021 | 0.9 | 0.8 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-03-25 25.2 SPY 81.4 0.0105 0.019 0.0512 -0.0644 -0.388 -0.374 -0.256 GLD 92.0 0.0113 -0.0119
2 2009-03-26 25.2 SPY 83.1 0.0204 0.0528 0.0811 -0.0354 -0.374 -0.362 -0.241 GLD 91.9 -0.0005 -0.0256
3 2009-03-27 25.0 SPY 81.6 -0.018 0.0639 0.0792 -0.0583 -0.379 -0.372 -0.265 GLD 90.7 -0.0135 -0.031
4 2009-03-30 24.8 SPY 78.8 -0.0346 -0.0417 0.0657 -0.096 -0.403 -0.390 -0.290 GLD 90.0 -0.0078 -0.0228
5 2009-03-31 24.9 SPY 79.5 0.00930 -0.0134 0.126 -0.085 -0.418 -0.388 -0.294 GLD 90.3 0.0033 -0.0074
6 2009-04-01 24.8 SPY 81.1 0.0194 -0.00480 0.157 -0.0889 -0.407 -0.376 -0.282 GLD 91.0 0.0083 -0.0103
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>